This is a misleading error message by Mac OSX. All you need to do is to enable the installation of apps that don't necessarily come from the Apple App Store.
To do this, on Your Mac go to System Preferences > Security and Privacy
Make sure the "General" tab is selected and then mark down "Allow Applications installed from ANYWHERE".
The FrostWire installer will work.
Here are some pictures and more detailed instruction in case this response wasn't clear enough
Source: Official FrostWire Blog.
FROSTWIRE for MacBook Pro - New!
by VOLTA1960 - 12/21/12 3:42 PM
I've made attempts on both C-Net.com & Frostwire.com for Frostwire Downloads for Mac & I keep getting this ERROR MSG:
"FrostWire.app" is damaged and can't be opened. You should move it to the Trash.